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Crude Put Skew Reduces As Call Volumes Rise on Shipping Risk

OIL OPTIONS

Brent call option volumes were the highest in almost two months yesterday at 194k amid shipping disruptions in the Red Sea. A growing numbers of tanker companies have paused the Red Sea route to instead use the longer route via the Cape of Good Hope.

  • Brent options aggregate trading volumes rose to 269k yesterday and WTI volumes increased to 117k. Aggregate crude traded volumes were also slightly higher on the day but remain below the recent average with Brent futures at just 0.97m and WTI futures at 0.70m.
  • Brent crude second month 25 delta call-put skew has narrowed to -1.7% from as wide as -7.7% on Nov 23 ahead of the Feb24 contract expiry on Dec 21. The WTI second month 25 delta call-put skew has closed in to -3.85%.
  • Front month futures are holding within the 77.4$/bbl to 78.2$/bbl range today after the rally up to 79.5$/bbl yesterday in reaction to the latest Houthi attacks and shipping diversions.
    • Brent FEB 24 up 0.2% at 78.08$/bbl
    • WTI FEB 24 up 0.2% at 72.97$/bbl

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